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A Joint Model for Electricity Spot Prices and Wind Penetration with Dependence in the Extremes

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Book cover Renewable Energy: Forecasting and Risk Management (FRM 2017)

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Abstract

This article analyses the dependence between electricity spot prices and the wind penetration index in the European energy market. The wind penetration index is given by the ratio of the wind energy production divided by the total electricity production. We find that the wind penetration has an impact on the intensity of the spike occurrences in the electricity prices, and we formulate a joint model for electricity prices and wind penetration and calibrate it to recent data. We then use the new joint model in an application where we assess the impact of the modelling assumptions on the potential income of an electricity distributor who buys electricity from a wind farm operator.

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Acknowledgements

We would like to thank Olivier Féron for his constructive comments on an earlier draft of this article. This research is supported by the department OSIRIS (Optimization, SImulation, RIsk and Statistics for Energy Markets) of EDF and by the FiME (Finance for Energy Markets) Research Initiative which is greatfully acknowledged.

Author information

Authors and Affiliations

  1. Université Paris-Dauphine, PSL Research University, CNRS, Ceremade, 75016, Paris, France

    Thomas Deschatre

  2. EDF Lab, OSIRIS, 91120, Palaiseau, France

    Thomas Deschatre

  3. Department of Mathematics, Imperial College London, 180 Queen’s Gate, London, SW7 2AZ, UK

    Almut E. D. Veraart

Authors
  1. Thomas Deschatre
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  2. Almut E. D. Veraart
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Corresponding author

Correspondence to Almut E. D. Veraart .

Editor information

Editors and Affiliations

  1. Laboratoire de Méteorologie Dynamique, CNRS, Palaiseau, France

    Philippe Drobinski

  2. UFR de Mathématiques, Université Paris Diderot, Paris, France

    Mathilde Mougeot

  3. UFR de Mathématiques, Université Paris Diderot, Paris, France

    Dominique Picard

  4. Laboratoire de Météorologie Dynamique, Ecole Polytechnique, Palaiseau, France

    Riwal Plougonven

  5. CREST—ENSAE Paris Tech, Palaiseau, France

    Peter Tankov

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Deschatre, T., Veraart, A.E.D. (2018). A Joint Model for Electricity Spot Prices and Wind Penetration with Dependence in the Extremes. In: Drobinski, P., Mougeot, M., Picard, D., Plougonven, R., Tankov, P. (eds) Renewable Energy: Forecasting and Risk Management. FRM 2017. Springer Proceedings in Mathematics & Statistics, vol 254. Springer, Cham. https://doi.org/10.1007/978-3-319-99052-1_10

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